Post-Crisis Exchange Rate Regimes In Asean: A New Empirical Test Based On Intra-Daily Data
AbstractThe purpose of this paper is to investigate what affected the post-crisis exchange rates of three ASEAN countries: Singapore, Thailand and Malaysia. Our critical departure from previous studies is the use of intra-daily exchange rates. The use of the intra-daily data is useful in removing possible estimation biases which the choice of numéraire may cause. It also contrasts exchange rates when official intervention is active with those when it is not active. We find significant structural breaks in the correlations when the East Asian market is open, which suggest strong monetary and real linkages among the ASEAN countries.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.
Volume (Year): 53 (2008)
Issue (Month): 02 ()
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Other versions of this item:
- Shin-ichi Fukuda & Sanae Ohno, 2006. "Post-crisis Exchange Rate Regimes in ASEAN:A New Empirical Test Based on Intra-daily Data," CIRJE F-Series CIRJE-F-441, CIRJE, Faculty of Economics, University of Tokyo.
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- Kim, Bong-Han & Min, Hong-Ghi & McDonald, Judy & Hwang, Young-Soon, 2012. "Yen-synchronization of floating East Asian currencies: A regime-switching regression model and micro-structural analysis," Journal of the Japanese and International Economies, Elsevier, vol. 26(2), pages 221-232.
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